No idea which was the first ever produced tbh. And no idea which one was my first either.
Well, when I started collecting, my boyfriend, Allan, had already been collecting for a little while beforehand (albeit never knew about this site, so the collection wasn't very big, and not growing very much either). So based on that, by association, my first steelbook would have been the Gears of War 2 CE steelbook, as he already had that (even before he started to collect).
My first steelbook purchase (out of choice, when I began to collect) I think would have been the Oblivion 5th Anniversary Edition steelbook. I might have gotten one or two before that in CEs, I can't really remember, but I think this is the earliest steelbook specific purchase I made when I began collecting.
It's hard to remember as I've gotten so many since then
xx